本篇探討在2010年4月16日滬深300股指期貨正式上市到2012年9月18日止的連續近月每日收盤日資料，進行區域內金融期貨市場連動關係的研究，試圖發現兩岸三地之股價指數期貨市場在亞太地區的金融主導地位，以作為國內外投資者在區域內的投資決策參考。 實證結果顯示，從共整合及向量誤差修正模型檢定發現，兩岸三地股指期貨具有長期均衡及短期的互動關係，因此可以視此三地為單一區域市場。在Granger因果檢定上，台股指數期貨雖無法預測恆生指數期貨，但仍明顯領先滬深300股指期貨且程度大於恆生指數期貨，或可推測兩岸因ECFA的簽訂使實體經濟的關聯性更為緊密，至於恆生指數期貨大多以金融、地產股為其主要成分，與大陸主要以實體經濟為主的金融市場，其Granger預測滬深300股指期貨的能力因此相對較弱。另由衝擊反應檢定得知恆生指數期貨為一獨立的市場，不受台灣及大陸指數期貨市場衝擊的影響；滬深300指數期貨因大陸金融市場逐漸開放，也會受到香港及台灣金融期貨市場之衝擊而產生影響；至於台股指數期貨則在兩岸三地，最易受到其他市場影響。最後由預測變異數分解檢定發現，台股指數期貨及滬深300股指期貨的波動皆易受到恆生股價指數期貨變異的影響，而恆生指數期貨在兩岸三地間之解釋能力最強，於兩岸三地間具金融主導地位。至於台股指數期貨對大陸金融期貨的影響也有突出的表現，因此若政府有心推展亞太金融中心之營運，勢必得加強區域間整合的力度，提出有利吸引外資之最政策，以增加台灣股市於國際間之競爭力。 / This study conducts analysis of regional linkage between financial futures market by examining consecutive daily closing information from April 16, 2010 (the official list date of CSI 300 index futures) to September 18, 2012. This study tries to find the financial dominance of these index futures market in the Asia Pacific region and hopefully it may be used as an investment decision reference for domestic and foreign investors. The empirical results show that from the total integration and vector error correction model tests and three places all indicate long-run equilibrium stock index futures and short-term interaction. Therefore, these three places can be viewed as a single regional market. In the Granger causality test on the TAIEX futures and Hang Seng Index futures, in spite of TAIEX futures can’t predict Hang Seng Index futures, it is significantly ahead of the CSI 300 index futures. TAIEX futures on the CSI 300 index futures even more impact than the Hang Seng Index Futures. It can explain that the ECFA has been signed and results show closely-related economy. Since the Hang Seng Index futures are mainly from financial and real estate stocks while the mainland-based financial market is mainly from the real economy, Granger predicts ability of CSI 300 index futures is relatively weak. Another test on the impulse response shows that (1) Hang Seng Index Futures is an independent market and is not affected by shocks from Taiwan and the mainland index futures markets, (2) CSI 300 index futures is affected by shocks from Hong Kong and Taiwan because of the gradually open financial markets, and (3) TAIEX futures can be seen as a potential Taiwanese dish economy because it is most vulnerable to other market influences among the three places. To sum up, the forecast variance decomposition tests show that TAIEX futures and the CSI 300 stock index futures are vulnerable to fluctuations in the Hang Seng index futures. In order words, the Hang Seng Index futures have the strongest explanatory power among the three places and shows financial dominance. The TAIEX futures also show its significant impact on the mainland China financial futures index. If the Government decides to promote the operation of the Asia-Pacific financial center and to increase competitiveness of Taiwan stock market, it will inevitably have to strengthen inter-regional integration efforts and make the most favorable policies to attract foreign investment.

目前對於女性董事與財務績效的研究，以國外的文獻居多，台灣的研究僅有3篇，皆是以複迴歸的方式來進行研究分析，僅有一篇是針對金融業進行研究。未來全球經濟的發展，將隨著女性職場上參與程度和社經能力的提升而有所改變。而銀行業對經濟發展有密不可分的關係，故本研究以臺灣21間上市銀行2006年至2011年間的追蹤資料（即126筆樣本觀察值）來進行實證研究。採資料包絡分析法評估績效後，再以Tobit迴歸模型探討女性董監事的比例對台灣上市銀行經營績效的影響，並加入可能影響銀行經營績效的因素作為解釋變數，包括：資本適足率、逾放比率、銀行規模、政府持股比率、銀行是否加入金控、以及時間變數等因素。實證結果發現，女性董事的比例對於銀行的經營績效在統計上有負向的影響，而女性監察人的比例則沒有顯著的影響。建議末來可繼續研究女性董監事與其它產業的績效關係，以增加女性董監事與台灣產業間之關聯性的研究。 / At present, the studies of female directors and financial performances are mostly in foreign documents, and there are only three studies from Taiwan which are based on multiple regression analysis approach of research; only one of those studies focus on financial industry. The global economic development in the future will be changed along with the level of female participation in the workplace and the enhancement of their socio-economic capabilities. Moreover, banking has a close and tight relationship with economic developments. Therefore, this study was based on the traceable data of 21 listed banks in Taiwan from 2006 to 2011 (i.e., 126 sample observations) to proceed the empirical research. After adopting data envelopment analysis to evaluate the performances, it used tobit censored regression model to discuss the influence of the operational performance of listed banks in Taiwan along with the proportion of female directors and supervisors. It also added the possible factors that may affect the banks’ performance as explanatory variables including Capital Adequacy ratio, Non-Performing Loans ratio, size of banks, Public Shareholding ratio, joining in financial holding, time variables and other factors. The result of the study showed that statistically there is a negative effect to the operational performance of the banks along with the proportion of female directors; however, there is no significant impact affected by the proportion of female supervisors. In the future it suggested that the study can be continued researching about the influence of the operational performances in other industries by the proportion of female directors and supervisors in order to increase the research of the correlation between female directors/supervisors and industry performance in Taiwan.

本研究以2000年至2004年台灣上市櫃的623家電子業為研究對象，探討員工分紅制度對企業經營績效的影響。本研究採用兩階段法，第一階段，採用DEA併用單變量統計之變異數分析法(ANOVA)及無母數分析法(Wilcoxon兩樣本檢定；K-W多樣本檢定)，來驗證電子業實行員工分紅對企業經營績效的影響。第二階段，DEA併用Tobit迴歸模型，比較第一階段單變量統計檢定的研究結果。研究結果發現： (1)電子產業內有發放員工分紅者的企業經營績效顯著較低，同時電子業發放前一年度員工分紅者對當年度的經營績效為負向顯著相關。 (2)電子產業內發放員工現金紅利對企業經營績效的影響顯著高於股票紅利者，同時電子業發放前一年度員工股票紅利者對當年度的企業經營績效為負向顯著相關。 (3)電子產業內員工分紅佔公司市值比例高者對企業經營績效的影響劣於員工分紅佔公司市值比例低者，且在增加其他控制變數後，電子業發放前一年度員工分紅佔公司市值比例高者對當年度的企業經營績效為負向顯著相關。 (4)電子產業內員工分紅佔薪資比例高者對企業經營績效的影響優於員工分紅佔薪資比例低者，且在增加其他控制變數後，電子業發放前一年度員工分紅佔薪資比例高者對當年度的企業經營績效為正向顯著相關。

外人直接投資（foreign direct investment, FDI）在經濟理論中是相當熱門的議題，它代表了讓地主國（host country）國資本累積、技術進步在短時間內快速增加的可能，因此許多國家往往會採取某些吸引外資的政策，再搭配國內制度或是貿易政策的改變，以追求經濟成長。然而，外來直接投資對地主國可能產生的所得重分配的影響，本文即是對此做一深入探討，並以台灣製造業資料來研究外來直接投資是否會擴大工資不均等的情形。 研究期間從1981～2004年共24年，依產業特性將製造業分為十大類，分別採取兩種不同的迴歸模型，包括自我迴歸落遲分配模型（auto regressive distributed lag model, ARDL model）與縱橫資料（panel data）迴歸模型等。實證模型上由生產理論出發，選擇作為解釋工資不均等的變數包括外人直接投資比例、出口比例、進口比例及產出成長率等四個變數。由實證結果得到以下結論： （1）就個別產業來看，FDI對台灣製造業工資不均等的影響並不一致，反應出產業特性不同，FDI所扮演的角色也不盡相同。其中FDI會惡化皮革與毛皮製造業的工資不均等情形，減輕橡膠及塑膠製品製造業與非金屬製品製造業的工資不均等情形，對其他製造業則是無明顯影響。 （2）就整體製造業的情形來看， FDI對工資的不均等的淨效果為正，但效果不大；出口、產出成長率有輕微使工資不均等擴大的情形，而進口則是可輕微縮減工資不均等的狀況。 （3）若是將十大製造業依產品特性區分為「民生」、「化學」、「機械」電子等三大工業，則可以發現FDI對民生工業有明顯擴大工資不均等的情形，在其他兩大工業則是無顯著影響。

本研究以日本央行干預日圓匯率對新台幣匯率的波及效果為研究主題，選擇樣本期間為1999年1月5日至2003年12月31日之日資料做實證分析。本研究選擇日本央行干預外滙的貨幣數量、新台幣與日圓間前一日及前二日的匯率變動率、日本國定假日及日本重大經濟政策訊息為自變數，分析對因變數，也就是新台幣與日圓間匯率變動率有何影響。我們分別採用最小平方法(OLS)迴歸分析與一般化自我迴歸條件異質變異數GARCH(1,1)模型來進行分析，並發現GARCH(1,1)模型在估計上優於最小平方法(OLS) 迴歸分析；另外我們的結果也證實日本央行干預日圓與美元間匯率，在日圓外匯市場大量購買外匯，確實會對新台幣與日圓間匯率變動率造成影響，亦其的確對新台幣與日圓間匯率變動程度有波及效果。 一直以來，國內有關央行干預行為的文獻中，大多探討台灣中央銀行的干預行為，對新台幣與美元間匯率變動的影響，較少有文獻在討論當日本央行透過干預日圓外匯市場，意圖使日圓相對於美元貶值時，新台幣與日圓間匯率的變動程度會因此受到波及。而本文實證研究發現，日本央行在干預日圓匯率時，的確會對新台幣與日圓間的匯率變動率造成影響，也就是說，日本中央銀行干預日圓匯率對新台幣匯率的波及效果是存在的，這對未來在估計新台幣與日圓間匯率變動時，將更能精確的估計新台幣與日圓間匯率變動的程度。 關鍵詞:匯率干預(exchange rate intervention)、日本央行(Japan Central Bank)、 最小平方法(OLS)、一般化自我迴歸條件異質變異數(GARCH)

產業發展不僅帶來經濟效益，亦會對環境造成衝擊，是以「永續發展」成為現代產業界的發展方向，而生態產業園區即為實踐永續發展的有效途徑。在永續發展的潮流之下，世界企業永續發展委員會提出一種用來衡量經濟價值及環境影響之間關係的工具--「生態效率」，從此如何評估生態產業園區的生態效率成為近年研究的重點之一。而隨著台灣推行生態產業園區之相關政策已逾十年，產業園區之永續性亦備受關注。 然根據文獻回顧，生態效率應結合其他工具使其更有效地衡量永續性。故本研究分為兩個階段，在第一階段中，本研究建立一個以資源消耗與環境衝擊為投入項，經濟發展為產出項的DEA模型來評估台灣60個產業園區之生態效率。第二階段則為探討產業園區與城鄉環境之關聯提出五個假說，更進一步萃取出重要代表因素與園區生態效率值進行Tobit迴歸分析。 研究結果顯示，僅有15個產業園區相對具有生態效率，大部分的產業園區需要降低用電量投入來提升生態效率。本研究另提供投入項目的調整建議，以供政府未來決策之參考。此外，在第二階段分析中，發現高度城鄉支援的產業園區具有較高的生態效率，是以產業園區及地方政府應共同致力於城鄉環境的永續發展。最後，Tobit迴歸分析結果表示我國產業園區可透過創新計畫、外資引入及能資源整合來提升生態效率。 / The industrial development not only brings economic benefits, but also consumes a lot of resources and produce environmental impacts. It is the reason that the concept of “Sustainable development” has become the main idea that the industry try to observe. And the development of eco-industrial parks(EIPs) is the effective way to achieve the sustainable development. Under the mainstream, the World Business Councils on Sustainable Development (WBCSD) proposed “Eco-efficiency” which is a tool for quantifying the relationship between economic value creation and environmental impacts. Therefore, how to evaluate the Eco-efficiency of EIPs has become one of the most important topic in the research recently. In Taiwan, the policy of the eco-industrial park has implemented for more than 10 years. Likewise, the sustainability of industrial parks is worthy of our concern. However, according to the literature review, it must be coupled with other tools to make eco-efficiency become a useful tool for sustainable development. Therefore, this research divided into two stages. At the first stage, this research constructs the DEA model of output for economical benefit and input for combining resource and environment to evaluate 60 industrial park’s eco-efficiency in Taiwan. At the second stage, in order to realize the relation between the eco-efficiency of industrial park and the environment of town and country, this research raises five hypotheses. Furthermore, this research extracts important representative factors through the Principal Component Analysis(PCA), and the eco-efficiency value of industrial parks for Tobit regression analysis. According to the research results, only 15 industrial parks are efficiency. Most of parks have to reduce electricity in order to improve the eco-efficiency. And this research also provides quantitative suggestions on input items, which could be the information for decision-making in the future. Otherwise, at the second stage, it has been discovered the industrial parks under the high support of town-and-country have better eco-efficiency. Thus, environmental sustainability must be the common goal of industrial parks and local governments. Finally, according to the results from Tobit regression analysis, the result showed that it is possible to improve eco-efficiency by innovative program, foreign capital and energy resource integration.

2007年美國爆發次級房貸違約潮造成了其經濟、房市和股市的不景氣，也波及到持有美國房貸證券化商品的各國，使其承受重大的損失，因此房屋抵押貸款違約的影響因素和金融資產證券化機制對貸款違約風險的影響又再度成為不動產與金融市場上之重要議題。而以往針對美國次貸危機的研究多指出道德風險是造成此次危機的原因之一，但是較缺乏實證研究的支持。 有鑑於此，本研究以我國的台北市和新北市的房屋抵押貸款市場作為研究對象，探討逆選擇和道德風險這兩個資訊不對稱的問題對貸款違約率的影響。研究結果顯示「貸款成數高、貸款利率高、搭配信貸和設定二胎的貸款比較容易違約」，證實逆選擇和道德風險問題確實存在於房屋抵押貸款市場，而且會增加貸款違約的機率。為了降低違約機率，從降低資訊不對稱的角度來看，本研究建議：一、建立全國房貸資料庫；二、將信貸的金額納入房貸的貸款成數中考慮，以降低款人的道德風險。 再者，本研究認為造成次貸危機的根本原因是不當政策導致的保證機制浮濫，以及高風險的房貸證券化商品的氾濫。為了避免我國發生類似次貸危機的事件，從減少資訊不對稱的角度切入，本研究建議我國的金融資產證券化機制應該：一、將道德風險內部化，消除創始機構自利的動機以減少道德風險；二、使用外部信用增強的方式，以確實發揮分散證券風險的作用。 / The 2007 subprime mortgage crisis has severely struck the stability of the worldwide financial markets. Some researches indicate that moral hazard problems are the main factors causing the crisis. However, few studies support asymmetry problems existing in a mortgage market by empirical evidences. First, using the mortgage samples from Taipei City and New Taipei City this study would like to understand if the mortgage market are information asymmetry problems, adverse selection and moral hazard, and conduct the empirical analysis for these factors’ impact on mortgage default. The results show that mortgage default is influenced significantly by the Loan-to-Value （LTV） ratio, contract interest rates, the existence of second liens and credit loans, and jobs. It shows that adverse selection and moral hazard actually exist in the mortgage market. According to the empirical results, secondly, this study proposes suggestions for mortgage lending and financial asset securitization to reduce adverse selection and moral hazard problems and enhance the regulation environment and market’s stability. It is expected that the results of this study will be applied to avoid the occurrence of similar crisis in Taiwan.

This paper explores the interrelationship between the net interest margin (NIM) and noninterest income and their determinants for banks in 9 Asian countries over the period 1998-2010. A simultaneous equations system is used to deal with endogenous regressors and its structural parameters are identified under a heteroskedastic covariance restriction, proposed by Lewbel (2012). The renovated Lerner Index proposed by Huang et al. (2013) is factored as a more robust proxy for market power over HHI. Our results demonstrate significantly positive relationship between the NIM and noninterest income, suggesting overall benefits for banks from income diversification. In addition, the loss-leader behavior is not supported in the sample countries.

財政透明度為建立一個良好政府治理的基礎。近年來隨著中國大陸高速的經濟發展，中央政府相關單位亦注意到財政公開的重要性。然而，目前中國財政資訊仍處於不透明的狀態。另一方面，中國大陸貪腐現象無所不在，內部腐敗行為更是日益猖獗，因此如何打擊貪腐、提升中國地方政府的財政透明度，就成為迫在眉睫的問題。 因此，本文的研究目的主要探討中國貪腐程度對地方政府財政透明度的影響：第一，瞭解當今社會對於財政透明度的提倡與國際規範；第二，考量貪汙與財政透明度之間可能存在非線性關係，建構一個追蹤平滑轉換迴歸模型（Panel Smooth Transition Regression Model，PSTR），瞭解中國大陸財政資訊的公開情形是否因各地區貪腐程度的不同而有所差異；最後，對於中國大陸嚴重的貪腐與財政透明度的關聯做深入探討，以期能為中國大陸財政不透明與不重視情況提出政策建議。

迴歸模式的變數選取是很重要的課題，Tibshirani於1996年提出最小絕對壓縮挑選機制（Least Absolute Shrinkage and Selection Operator；簡稱Lasso），主要特色是能在估計的過程中自動完成變數選取。但因為Lasso本身並沒有牽扯到統計推論的層面，因此2014年時Lockhart et al.所提出的Lasso顯著性檢定是重要的突破。由於Lasso顯著性檢定的建構過程與傳統向前逐步迴歸相近，本研究接續Lockhart et al.(2014)對兩種變數選取方法的比較，提出以Bootstrap來改良傳統向前逐步迴歸；最後並比較Lasso、Lasso顯著性檢定、傳統向前逐步迴歸、以AIC決定變數組合的向前逐步迴歸，以及以Bootstrap改良的向前逐步迴歸等五種方法變數選取之效果。最後發現Lasso顯著性檢定雖然不容易犯型一錯誤，選取變數時卻過於保守；而以Bootstrap改良的向前逐步迴歸跟Lasso顯著性檢定一樣不容易犯型一錯誤，而選取變數上又比起Lasso顯著性檢定更大膽，因此可算是理想的方法改良結果。 / Variable selection of a regression model is an essential topic. In 1996, Tibshirani proposed a method called Lasso (Least Absolute Shrinkage and Selection Operator), which completes the matter of selecting variable set while estimating the parameters. However, the original version of Lasso does not provide a way for making inference. Therefore, the significance test for lasso proposed by Lockhart et al. in 2014 is an important breakthrough. Based on the similarity of construction of statistics between Lasso significance test and forward selection method, continuing the comparisons between the two methods from Lockhart et al. (2014), we propose an improved version of forward selection method by bootstrap. And at the second half of our research, we compare the variable selection results of Lasso, Lasso significance test, forward selection, forward selection by AIC, and forward selection by bootstrap. We find that although the Type I error probability for Lasso Significance Test is small, the testing method is too conservative for including new variables. On the other hand, the Type I error probability for forward selection by bootstrap is also small, yet it is more aggressive in including new variables. Therefore, based on our simulation results, the bootstrap improving forward selection is rather an ideal variable selecting method.